Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1175 |
| Annualized Std Dev | 0.2525 |
| Annualized Sharpe (Rf=0%) | 0.4653 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3880.0000 |
| NAs | 1.0000 |
| Minimum | -0.1102 |
| Quartile 1 | -0.0076 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0090 |
| Maximum | 0.1082 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0159 |
| Skewness | -0.1583 |
| Kurtosis | 3.8580 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.5718 |
| Historical VaR (95%) | -0.0257 |
| Historical ES (95%) | -0.0371 |
| Modified VaR (95%) | -0.0251 |
| Modified ES (95%) | -0.0407 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2008-11-21 | 2010-04-06 | -0.5718 | 680 | 340 | 340 |
| 2011-02-15 | 2011-10-03 | 2013-08-13 | -0.3191 | 627 | 160 | 467 |
| 2020-02-07 | 2020-03-16 | 2020-06-01 | -0.3171 | 79 | 26 | 53 |
| 2015-06-19 | 2016-02-09 | 2016-09-22 | -0.3000 | 292 | 152 | 140 |
| 2006-04-06 | 2006-07-21 | 2007-01-11 | -0.2616 | 193 | 74 | 119 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | -1 | -0.1 | 0.5 | 1 | -0.7 | 1.6 | -0.6 | 0.8 |
| 2006 | 0.7 | 4.3 | 0 | -0.8 | 2.3 | 0.3 | -2 | -0.1 | -0.6 | -2.5 | -1.9 | -0.7 | -1.1 |
| 2007 | 0.6 | -1.2 | 0.3 | 0.2 | 0.2 | -0.7 | -0.2 | 1.3 | 1.5 | -2.4 | 0.4 | -0.4 | -0.6 |
| 2008 | 0.9 | -2.8 | 3.8 | 2.9 | 0.4 | -0.7 | 0.9 | -1.4 | -2.8 | 2.7 | -5.9 | 3.9 | 1.2 |
| 2009 | -4.3 | -0.9 | 2.4 | 1.1 | 3.6 | 1.9 | 0.3 | -2.6 | -3.6 | -3.4 | 2.3 | -0.9 | -4.4 |
| 2010 | 1.7 | 2 | 0.1 | -2.2 | -4.1 | 0.4 | -0.6 | 3.6 | -0.2 | -0.6 | 2.4 | -0.3 | 2 |
| 2011 | 1.9 | -2.3 | -1.3 | 0.7 | -2.8 | 1.2 | -0.7 | -1 | -3.1 | -2.9 | -1.1 | -0.5 | -11.4 |
| 2012 | 1.6 | 0.6 | -0.1 | 0.6 | -4.3 | 4.2 | -1.3 | 0.1 | -1.2 | 2.8 | 0.3 | 1.4 | 4.5 |
| 2013 | 0.5 | -0.4 | -1.8 | -1.3 | -0.6 | 0.7 | 1.7 | -0.7 | 0.7 | -1.2 | 0.1 | 1.5 | -0.9 |
| 2014 | 0.2 | -1.3 | 2.4 | 0.2 | -2.2 | 1.3 | -1.6 | 0.3 | -1.8 | 2.1 | -1.2 | -0.3 | -2 |
| 2015 | -1.3 | 0 | -1.2 | 0.8 | -0.1 | 0.7 | 0.4 | -2.9 | 0.9 | 0 | 1.2 | -1.2 | -2.8 |
| 2016 | 0.3 | 0.7 | 0 | -1.4 | 0.8 | 1.5 | 0.2 | -0.7 | 0.8 | -0.5 | -3.2 | -0.7 | -2.5 |
| 2017 | 0.2 | 1.2 | 0 | 0.2 | 1.5 | 0.4 | 0.5 | 0 | -0.6 | -1 | 0.5 | -0.6 | 2.3 |
| 2018 | 0.2 | -2.3 | 1.4 | 0.1 | 1.6 | 0.3 | 0.9 | 0.8 | -1.2 | 1 | -0.1 | 1 | 3.8 |
| 2019 | 1 | 0.9 | 1.1 | -1.6 | -1.7 | 0.8 | -0.9 | 0.1 | -0.9 | 0.8 | -0.2 | -0.1 | -0.7 |
| 2020 | -2.1 | -1.3 | -3.7 | -2.6 | 1.3 | -0.1 | 0.7 | 2.2 | 1.3 | -3 | 0.1 | -0.2 | -7.4 |
| 2021 | 2.3 | 3.5 | 1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
